The Silverlight 2 Tools release (third item above) includes the Silverlight 2 runtime and the SDK. You don’t need to install the runtime separately first: just run the tools installer and you’ll have everything you need.

The Visual Studio extensions don’t work with the Express editions – make sure you’ve got the full Visual Studio 2008 installed before attempting to install them.

If you installed Silverlight 1.1 Alpha, uninstall it first, along with any related tools or SDKs before installing Silverlight 2 Beta 1. I watched someone get into a bit of a mess this morning by trying to update Silverlight 1.1 Alpha in-place. Fortunately, they were still able to uninstall and reinstall, but you’re definitely best to start with a clean machine.

Here’s the deal. Moving forward, Expression Blend 2 contains support for shipping technology: that is, WPF 3.x and Silverlight 1.0. Expression Blend 2.5 is a preview of the next release after Blend 2; it runs side-by-side with Blend 2 and supports WPF 3.x, Silverlight 1.0 and Silverlight 2. You’re probably best to install both together – at this point, Blend 2 is more stable than 2.5 as a development environment for WPF and Silverlight 1.0, according to my Blend buddies.